Research And Empirical Analysis Of Stock Market Volatility

With the globalization, integration and liberalization of economics, the financial markets become more and more important. The stock market as an important part of the financial markets, play a huge role in the economic development. The volatility of the stock market, which is consist of external factors and internal factors, has become the core of the financial research. The rate of the volatility, as an measure of the market’s risk, directly affect securities pricing, asset allocation and risk management modeling. Over the years, in order to reveal the nature of the economic and financial volatility, many researchers, including the domestic and the foreign ones, has been doing unremitting exploration.In this paper, the writer discussed of the volatility of the stock market from both theoretical and empirical sides.In this paper, we discuss the fluctuation of the stock market through theoretical research and empirical analysis.Firstly, this paper analyzes the reasons for impacting stock market fluctuation from aspects of macroeconomic factors, macroeconomic policy factors, political factors, industry factors, technical indicator factors and psychological factors, which could help us predicting the trend of stock market fluctuation better. Secondly, it describes the relevant theories of stock market fluctuation and the basic characteristics of the yield fluctuation. All of these theories are the theoretical foundation of stock market fluctuation research, and the studies of stock market fluctuation are developed based on these gradually.Thirdly, we select Shanghai Composite Index and Shenzhen Component Index as the objects of the research and use the logarithm of the yield.After the descriptive analysis, we find that the yield of stock market in our country has several basic characteristics such as Leptokurtic.Finally, this paper has used GARCH model to test China’s Shanghai Composite Index and Shenzhen Component Index, and find the revenue rate and the related risk are positively correlated. Through the comparation of the Shanghai market and the Shenzhen market, the writer finds that the investors in the Shenzhen market hate risk more, which also means the premium in the Shenzhen market is higher than that in the Shanghai market. Then this paper use EGARCH model test and conclude that the rate of revenue has the leverage effect feature, the bad news cause more volatility than the same good news. Also, this paper has used Granger causality test and concluded to that these two markets are related, in the long-term, the premium of these two markets are symmetrical, they change in the same level.In the last, this paper has also given some advises to help to guarantee the stock market’s steady, improve the efficiency, and also to promote sustained and healthy development of the stock market. The advises are:first, continue to improve the securities laws and regulations, second, reduce government intervention, third, standardize information disclosure system.